Trait hftbacktest::backtest::proc::Processor

pub trait Processor {
    // Required methods
    fn initialize_data(&mut self) -> Result<i64, BacktestError>;
    fn process_data(&mut self) -> Result<(i64, i64), BacktestError>;
    fn process_recv_order(
        &mut self,
        timestamp: i64,
        wait_resp_order_id: i64,
    ) -> Result<bool, BacktestError>;
    fn earliest_recv_order_timestamp(&self) -> i64;
    fn earliest_send_order_timestamp(&self) -> i64;
}

Processes the historical feed data and the order interaction.

Required Methods

fn initialize_data(&mut self) -> Result<i64, BacktestError>

Prepares to process the data. This is invoked when the backtesting is initiated. If successful, returns the timestamp of the first event.

fn process_data(&mut self) -> Result<(i64, i64), BacktestError>

Processes the data. This is invoked when the backtesting time reaches the timestamp of the event to be processed in the data. If successful, returns the timestamp of the next event.

fn process_recv_order( &mut self, timestamp: i64, wait_resp_order_id: i64, ) -> Result<bool, BacktestError>

Processes an order upon receipt. This is invoked when the backtesting time reaches the order receipt timestamp. Returns Ok(true) if the order with wait_resp_order_id is received and processed.

fn earliest_recv_order_timestamp(&self) -> i64

Returns the foremost timestamp at which an order is to be received by this processor.

fn earliest_send_order_timestamp(&self) -> i64

Returns the foremost timestamp at which an order sent by this processor is to be received by the corresponding processor.

Implementors

impl<AT, LM, MD> Processor for Local<AT, LM, MD>

where AT: AssetType, LM: LatencyModel, MD: MarketDepth + L2MarketDepth,

impl<AT, LM, QM, MD> Processor for NoPartialFillExchange<AT, LM, QM, MD>

where AT: AssetType, LM: LatencyModel, QM: QueueModel<MD>, MD: MarketDepth + L2MarketDepth,

impl<AT, LM, QM, MD> Processor for PartialFillExchange<AT, LM, QM, MD>

where AT: AssetType, LM: LatencyModel, QM: QueueModel<MD>, MD: MarketDepth + L2MarketDepth,